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Viewing User Profile for: stargrazer
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Joined: Jun 13, 2005 12:02 PM
Last Post: Apr 4, 2019 09:44 AM
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stargrazer has contributed to 259 posts out of 19083 total posts (1.36%) in 5,093 days (0.05 posts per day).

20 Most recent posts:
IQFeed Developer Support » Developer wanted to build API Apr 4, 2019 09:44 AM (Total replies: 5)

I have an app which download and parses the mktsymbols_v2.txt file:

https://github.com/rburkholder/trade-frame/tree/master/IQFeedMarketSymbols

I've found some SIC and NAICS code files which I use to find certain groupings:

https://github.com/rburkholder/trade-frame/tree/master/x64

I have a set of tools I use for querying various IQFeed based streams: news, history, live quotes (fundamental data found in the live quote streams)

https://github.com/rburkholder/trade-frame/tree/master/lib/TFIQFeed

There is some one else's tool which provides easy db access to mysql:

https://www.webtoolkit.eu/wt/doc/tutorial/dbo.html

This is all C++. Someone else in the forums has some C# libraries. I don't know what else is out there.

Do you need specific development environment, or do you just need an application rather than an API?

IQFeed Developer Support » Developer wanted to build API Apr 4, 2019 09:24 AM (Total replies: 5)

What are you looking to do?


I think 6.0.0.5 has some buffering/incomplete-record issues when running multiple symbols. Try the latest which is 6.0.1.1, I believe.

Try building your VM with Stretch.

Although describing a container build, the same wine configuration can be used in a regular VM (you may need to copy and paste the link rather than clicking on it):

http://blog.raymond.burkholder.net/index.php?/archives/950-Gui-using-Wine,-X2Go,-LXDE-in-a-simple-LXC-container.html

There might be an issue with the news service. If so, see the following for a fix:

http://blog.raymond.burkholder.net/index.php?/archives/747-DTNIQFeed-Gecko-Problem-in-Wine-from-WineHQ.html

To get IQConnect 'locked in', I run the SnapQuote application twice. The first time starts IQConnect, and the second time actually makes a connection after choosing a symbol. I then close the first SnapQuote application.


If it is the server side, can you telnet to the news port and see headlines and articles?


Quote: Also, when is anybody going to get around to fixing the news display application.
Every time I click a news item all I get is "page cannot be displayed" in the bottom panel.


Dunno, if you are running in Wine, then the following may fix for you:

http://blog.raymond.burkholder.net/index.php?/archives/747-DTNIQFeed-Gecko-Problem-in-Wine-from-WineHQ.html

But I am running v6.0.0.5, which might act differently.


I'm not sure what the question is, because I think the discrepancies can be attributed to mostly physics then.

When I looked at this many moons ago, Chicago was closer then NY to the DTN servers, thus the differences in time.


Do you use NTP to sync the time of your server to the 'rest of the world'?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 17, 2018 01:03 AM (Total replies: 16)

Oh, and one more thing. Is the iqfeed client 64 bit yet? If not, isn't that kinda stone age? My 64 bit apps are unable to start the iqfeed client, and I have to revert to starting it manually with one of the iqfeed supplied sample apps. As far as I recollect, and it was a long time ago, there is only a 32 bit api for auto-starting the iqfeed client. Or have things changed since way back then?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 16, 2018 08:48 PM (Total replies: 16)

But having said all that, it seems as though more and more users are switching to Linux. And this goes back 'quite a number of years'.

For the DTN support people, what would be preventing the creation of a native linux based client? Or even a client which does not require a GUI login? Is it an exchange licensing problem?

IQFeed Developer Support » Consuming IQFeed APIs via C++ on Linux Nov 16, 2018 08:45 PM (Total replies: 16)

The closest to headless I run is:

* building an lxc container, installing wine, etc.
* installing LXDE as a gui environment, but not tied to a graphics card [1]
* installing x2go server
* connecting to the session with an x2go client
* allows gui session via remote access

Don't know if this helps at all.

[1] http://blog.raymond.burkholder.net/index.php?/archives/950-Gui-using-Wine,-X2Go,-LXDE-in-a-simple-LXC-container.html


Quote: I'm looking at option trades for backtesting, primarily on EOD


I am curious. I gather you have already pulled down historical option tick data and/or historical option 1 minute bar data for your symbols of interest for what they supply currently. Do you get coverage through out the day, or is it pretty sparse? Do you see ticks or bars falling at EOD regularily?


Quote: I am particularly looking forward to expired futures contracts. My requirement is to calculate contango and backwardation. In an ideal world, there would be a continuous front month and continuous back months


Due to the fact that trades can be sparse on back months on even popular symbols, I've found it of more value to capture and store daily feeds, keep the quotes as well as the trades, and then perform algorithm analysis based upon the quotes captured. I build my own daily summaries from the quotes, and typically use quote mid-points for rough approximations. This allows me to deal with open, close, and any time in between without worrying about the lack of trades.

You will also note that, as various sites say in the footers, past history may not be a good prognosticator of current movements. Which suggests even more value in collecting your own current data, complete with both quote and trade info, to use in your modeling and algorithm development.


Quote: In using a modification of Mathieu's excellent client (Thanks, Mathieu) I'm seeing symbols that are in IEOPTION but appear to have no data. Could this be verified and, preferably, the data added or the symbols removed from the file.


I am wondering what your expectations are. Have you followed options on the real time feeds? You'll note that there are continuous quotes available, but there are very infrequent trades happening. And if history only has the trades stored, the trades (if they are available), may not be indicative of the open, the close, the min, the max or anything in between. And that may be the reason why you see NO_DATA, because, well, the option was available, but no one traded anything. Ie, repeating myself, trades are very sparse in the options world.
Edited by stargrazer on Oct 8, 2018 at 03:04 PM


through an indirection of someone linking to me at github, I learned about:

https://github.com/akapur/pyiqfeed

A Python IQFeed library.


The API to Big Query is well defined:

https://cloud.google.com/bigquery/docs/reference/rest/v2/

There are a number of official client libraries, with Python being one of them:

https://cloud.google.com/bigquery/docs/quickstarts/quickstart-client-libraries

It is possible to call c++ from Python with Boost.Python.

On the other hand, there are others in the forums who have C# code (with C# being a native client library), could probably interface directly to Big Query.

There may be others who have Python code for handling the IQFeed interface.

If all you desire is 1 minute Bar updates, it may be straight forward to use python natively to talk to IQFeed, decode the inbound streams, build the bars and send them to Big Query. I could maybe accomplish that task a s special project, if no others are available. The issue here is that if you are dealing with 100(s) of symbols, and depending upon their liquidity, there may be performance issues with handling the inbound streams.

Something to which I have not looked, IQFeed may supply real time bars. If so, then performance issues may not be a problem.

In any case, you will need some sort of server on which the interface code and the IQFeed client will need to reside.


If you are looking for c++ style tooling, I have some IQFeed code libraries at:

https://github.com/rburkholder/trade-frame/tree/master/lib/TFIQFeed

https://github.com/rburkholder/trade-frame/tree/master/IQFeedMarketSymbols

https://github.com/rburkholder/trade-frame/tree/master/IQFeedGetHistory

For further info, my email is associated with that account.


two items:

1) you will need to have the i386 wine packages installed

2) you need to run the iqfeed installer inside the wine environment, you can't just copy iqconnect over.

hope this helps.

DTNIQ Client Software Wish List » amd64 version? Nov 14, 2017 07:53 PM (Total replies: 1)

i386 is kinda last century?

Any update in the roadmap as to when a native 64 bit version might be available? Which might run in the native 64 bit Wine environment?

IQFeed Developer Support » Reading feed into app Oct 21, 2017 01:37 PM (Total replies: 4)

Another code example:

https://github.com/rburkholder/QuantDeveloper/tree/master/OneUnified.IQFeed

IQFeed Developer Support » greeks / delta Sep 13, 2017 07:49 AM (Total replies: 10)

@J: I needed to do a linear interpolation from 0 to 30 days for the TB30.X... that is why you see it as 0 in my list. I don't know what symbol might reflect a TB overnight rate, or similar, or if even there is such an animal. Any thoughts?

I havn't done the inverse calculation to see what others are doing. I'm still evolving towards matching up what other providers, like IB, are generating for IV first. Whether they use mid-bid, or log(mid-bid), or bid or ask, or last trade or .....

In case any one is interested in what I've done:

Basic binomial code is at:

https://github.com/rburkholder/trade-frame/blob/master/lib/TFOptions/Binomial.cpp

The code where I build those tables and interpolate the interest rate:

https://github.com/rburkholder/trade-frame/blob/master/lib/TFTrading/NoRiskInterestRateSeries.cpp

Code where I bring all that together:

https://github.com/rburkholder/trade-frame/blob/master/lib/TFOptions/Option.cpp


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